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part autocorr Brussels

*The author of this computation has been verified*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 14 Dec 2008 11:56:03 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/14/t122928100307jj6kjkiyw9ppp.htm/, Retrieved Sun, 14 Dec 2008 19:56:44 +0100

BibTeX entries for LaTeX users:

@Manual{KEY,
    author = {{YOUR NAME}},
    publisher = {Office for Research Development and Education},
    title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2008/Dec/14/t122928100307jj6kjkiyw9ppp.htm/},
    year = {2008},
}
@Manual{R,
    title = {R: A Language and Environment for Statistical Computing},
    author = {{R Development Core Team}},
    organization = {R Foundation for Statistical Computing},
    address = {Vienna, Austria},
    year = {2008},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

88827 85874 85211 87130 88620 89563 89056 88542 89504 89428 86040 96240 94423 93028 92285 91685 94260 93858 92437 92980 92099 92803 88551 98334 98329 96455 97109 97687 98512 98673 96028 98014 95580 97838 97760 99913 97588 93942 93656 93365 92881 93120 91063 90930 91946 94624 95484 95862 95530 94574 94677 93845 91533 91214 90922 89563 89945 91850 92505 92437

Output produced by software:

Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	1 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.757058	5.8641	0
2	0.626364	4.8518	5e-06
3	0.519915	4.0272	8e-05
4	0.439353	3.4032	0.000596
5	0.378449	2.9315	0.002384
6	0.290609	2.251	0.014029
7	0.237824	1.8422	0.035196
8	0.186752	1.4466	0.07661
9	0.092634	0.7175	0.237912
10	0.098651	0.7641	0.223888
11	0.073061	0.5659	0.286776
12	0.195435	1.5138	0.067659
13	0.060932	0.472	0.319328
14	-0.007247	-0.0561	0.477712
15	-0.005874	-0.0455	0.48193
16	-0.045305	-0.3509	0.363434
17	-0.064219	-0.4974	0.31035
18	-0.095339	-0.7385	0.231548
19	-0.153159	-1.1864	0.120078
20	-0.169067	-1.3096	0.097665
21	-0.241455	-1.8703	0.033161
22	-0.251381	-1.9472	0.028098
23	-0.321241	-2.4883	0.007814
24	-0.334071	-2.5877	0.006051
25	-0.399667	-3.0958	0.001491
26	-0.437907	-3.392	0.000617
27	-0.410653	-3.1809	0.001162
28	-0.389686	-3.0185	0.001863
29	-0.349174	-2.7047	0.004442
30	-0.294775	-2.2833	0.012984
31	-0.284273	-2.202	0.015761
32	-0.240573	-1.8635	0.033646
33	-0.177978	-1.3786	0.086566
34	-0.102623	-0.7949	0.214899
35	-0.066697	-0.5166	0.303657
36	-0.02689	-0.2083	0.417854

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.757058	5.8641	0
2	0.124692	0.9659	0.168995
3	0.024868	0.1926	0.423949
4	0.02341	0.1813	0.428359
5	0.024665	0.1911	0.424565
6	-0.075312	-0.5834	0.280918
7	0.012642	0.0979	0.461158
8	-0.012951	-0.1003	0.460213
9	-0.13543	-1.049	0.149184
10	0.133134	1.0313	0.153281
11	-0.014481	-0.1122	0.455533
12	0.336376	2.6056	0.005775
13	-0.470879	-3.6474	0.000278
14	0.052256	0.4048	0.343542
15	0.049194	0.3811	0.352253
16	-0.064915	-0.5028	0.308462
17	-0.042226	-0.3271	0.372371
18	-0.021043	-0.163	0.435533
19	-0.115208	-0.8924	0.187872
20	-0.036847	-0.2854	0.388154
21	0.046272	0.3584	0.360644
22	-0.174811	-1.3541	0.090394
23	-0.097337	-0.754	0.226909
24	-0.246725	-1.9111	0.030385
25	0.131865	1.0214	0.155577
26	-0.066396	-0.5143	0.304465
27	-0.043384	-0.3361	0.369001
28	0.039702	0.3075	0.379753
29	0.055309	0.4284	0.334938
30	-0.024609	-0.1906	0.424734
31	0.028775	0.2229	0.412189
32	-0.042132	-0.3264	0.372647
33	0.106594	0.8257	0.20613
34	0.041235	0.3194	0.375265
35	0.030677	0.2376	0.406493
36	0.10825	0.8385	0.202538

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t122928100307jj6kjkiyw9ppp/17e4m1229280962.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t122928100307jj6kjkiyw9ppp/17e4m1229280962.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t122928100307jj6kjkiyw9ppp/2eg2k1229280962.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t122928100307jj6kjkiyw9ppp/2eg2k1229280962.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

R code (references can be found in the software module):

if (par1 == 'Default') {

par1 = 10*log10(length(x))

} else {

par1 <- as.numeric(par1)

}

par2 <- as.numeric(par2)

par3 <- as.numeric(par3)

par4 <- as.numeric(par4)

par5 <- as.numeric(par5)

if (par2 == 0) {

x <- log(x)

} else {

x <- (x ^ par2 - 1) / par2

}

if (par3 > 0) x <- diff(x,lag=1,difference=par3)

if (par4 > 0) x <- diff(x,lag=par5,difference=par4)

bitmap(file='pic1.png')

racf <- acf(x,par1,main='Autocorrelation',xlab='lags',ylab='ACF')

dev.off()

bitmap(file='pic2.png')

rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF')

dev.off()

(myacf <- c(racf$acf))

(mypacf <- c(rpacf$acf))

lengthx <- length(x)

sqrtn <- sqrt(lengthx)

load(file='createtable')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','ACF(k)','click here for more information about the Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 2:(par1+1)) {

a<-table.row.start(a)

a<-table.element(a,i-1,header=TRUE)

a<-table.element(a,round(myacf[i],6))

mytstat <- myacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable.tab')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Partial Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','PACF(k)','click here for more information about the Partial Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 1:par1) {

a<-table.row.start(a)

a<-table.element(a,i,header=TRUE)

a<-table.element(a,round(mypacf[i],6))

mytstat <- mypacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable1.tab')

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa

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